Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 30 (1D) Oct 31 (2D) Nov 03 (5D) Nov 04 (6D) Nov 05 (7D) Nov 06 (8D) Nov 07 (9D) Nov 10 (12D) Nov 11 (13D) Nov 12 (14D) Nov 14 (16D) Nov 21 (23D) Nov 28 (30D) Dec 05 (37D) Dec 12 (44D) Dec 19 (51D) Dec 26 (58D)
lower 681.302 678.781 673.777 672.478 671.283 670.171 669.127 666.301 665.44 664.612 663.039 658.194 654.046 650.36 647.008 643.915 641.027
upper 693.478 695.999 701.003 702.302 703.497 704.609 705.653 708.479 709.34 710.168 711.741 716.586 720.734 724.42 727.772 730.865 733.753
expected move 6.088 8.609 13.613 14.912 16.107 17.219 18.263 21.089 21.95 22.778 24.351 29.196 33.344 37.03 40.382 43.475 46.363
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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